oGBS_IV( ) - Generalized Black Scholes Implied Volatility Function

Uses the Newton-Raphson iteration procedure to calculate the implied volatility value vol that equates the given market price of the option with the Generalized Black-Scholes model price of the option. Returns the implied volatility only.

Option Types

European options on Stocks, Currencies, Futures, and Commodities

Function Parameters

Parameters

Description

Parameter Type

Restrictions

.

CallPut

Option type.

Enumerated Constant

1 - Call2 - Put

OptionValue

Current market price of the option.

Double

Option Value > 0

ValueDate

Valuation date of the option.

Date

ValDate < MatDate

MaturityDate

Maturity date of the option.

Date

MatDate>ValDate

Spot

Current market price of the underlying asset.

Double

Spot > 0

Exercise

Exercise price of the option.

Double

Exercise >= 0

RiskFree

Risk free interest rate, entered as either a single rate (act/365) or as a user defined zero curve object.